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Net Money - feeding on overreaction

This algo is very simple. It is based on theory that there may occur an event when company’s net cash position (cash - total liabilities) is higher than market cap. That means that you are buying all the cash and all the remaining assets are free of charge.
Of course this does not guarantee a profit, as the company may go through some expensive restructuralization - which can eat the cash in the future.

btw: I could not figure out why the algo is so slow after 2010, maybe somebody can have a look. Thanks

Clone Algorithm
4
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58b2409e5ef2705e2e232af8
There was a runtime error.
3 responses

To find the slowdown, try https://www.quantopian.com/posts/timing-code

By the way returns on amount invested are 100 percentage points higher than shown due to unfilled orders and not using all available cash, maybe filter out a percentile of low-volume stocks to see how much difference that makes in speed, for fewer unfilled orders. Consider data.current(stock, 'price') instead of history(), and stock.last_sale_price and context.portfolio.positions[stock].cost_basis. Fundamentals query can just be query(), empty, because that populates the dataframe values and they are unused, although that one can help with speed yet not to the degree we're talking here. Even though it runs every day, give pipeline a whirl and see if it resolves the problem if timing() doesn't find the issue.

Less starting cash results in fewer unfilleds here.

Clone Algorithm
5
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58b2d43887df225e2cb9dc19
There was a runtime error.

hi @Blue , yes partially filled orders are a problem. Realistically I would not invest more than 10000$ as an initial capital. Thanks for the tips!